Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0012
Annualized Std Dev 0.2953
Annualized Sharpe (Rf=0%) 0.0041

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2569
Quartile 1 -0.0058
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0064
Maximum 0.4258
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0186
Skewness 1.8132
Kurtosis 79.8578

Downside Risk

Close
Semi Deviation 0.0128
Gain Deviation 0.0164
Loss Deviation 0.0158
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0128
Downside Deviation (0%) 0.0128
Maximum Drawdown 0.8318
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0409
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2004-03-22 2008-11-20 NA -0.8318 4280 1178 NA
1999-01-05 2000-03-28 2003-02-26 -0.2843 1041 311 730
2003-04-17 2003-07-31 2003-11-18 -0.0996 150 73 77
2003-03-17 2003-03-21 2003-04-16 -0.0684 23 5 18
2004-02-23 2004-02-24 2004-03-19 -0.0368 20 2 18

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.1 0.6 0.5 1.1 0 -1.6 -1.1 -1.1 0.6 2.4 0 2.5 4.9
2000 0.6 0.7 0 -0.6 0.7 0.7 1.3 0 -1.3 0 0.7 0.6 3.3
2001 1.4 2.9 0.8 -0.9 0.5 0.9 1.3 -1.8 1.6 0.4 -0.7 0.9 7.4
2002 -0.4 -0.6 0.9 -0.8 0.7 2.1 -1.5 1.2 0.4 -1.4 -1.1 0 -0.5
2003 1.2 -0.9 0.8 -1.2 0.5 -0.1 0.1 0 0.2 0.3 1.7 0.1 2.9
2004 2.1 0.4 0.6 2.9 -0.3 1.2 0 1.5 1.1 0.5 -1.4 0.7 9.8
2005 0.1 0.4 3.8 -0.3 0.5 -0.5 0 0.2 -1.1 0.2 1.5 0.4 5.2
2006 0.6 1 0.1 -0.3 0.5 1.4 2.6 1 0.6 1.3 0 0.1 9.2
2007 0.1 -0.7 -1.3 0.2 0.2 0.9 -1.2 1.9 0.4 -0.5 5.3 -0.9 4.2
2008 6.7 -0.9 -1 -0.3 -0.3 -2.7 1.5 -0.7 5.8 -0.4 -6.6 9 9.6
2009 -1 -9.1 2.1 1.2 3.5 0.3 1.3 -0.3 0.4 -2.6 0.7 -1.3 -5.3
2010 -0.2 1.2 0.6 -0.5 -1.8 -3.1 0.1 0.5 0.8 0 0.2 1 -1.4
2011 0.6 -0.4 0 0.1 0.1 0 1.4 0.4 0.1 -1.8 0.5 0.4 1.5
2012 0.1 0.2 0.5 -0.8 -1.8 0.4 0.6 0.9 -1 0.1 -0.6 2.3 0.8
2013 0.2 0.1 -0.1 0.8 -2.5 0.5 -0.6 0 -0.4 1 -0.6 0.5 -1.1
2014 1.5 0.5 -0.1 0.1 0.1 0.5 -0.8 -0.5 0.4 0.4 0 0.3 2.4
2015 -0.4 0.2 0.9 0.2 0 0.8 -0.3 0.3 -0.2 0.6 0.4 0.2 2.7
2016 1.2 -0.3 -0.1 0.8 0.4 -0.9 -0.1 -0.6 0.3 -1.6 -0.8 -0.1 -1.6
2017 -0.3 -0.8 0.6 0.2 -0.1 -0.3 0.2 1.2 0.6 0.2 0 0.5 1.8
2018 0.5 -0.2 0.6 0.8 -0.3 0.1 0.5 0 -0.9 0.4 -0.2 3.3 4.7
2019 0.5 1.1 0 0.4 0.4 0.2 -0.8 0.7 0.2 0.7 0.6 1.1 5.2
2020 -1.1 -3.8 -8.3 -0.5 0.7 2.1 1.7 0 0.2 0.1 1.4 1.6 -6.4
2021 0.3 0.8 1.1 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.7 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  12.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  12.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  12.3 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  12   SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart